Management of Market and Operational Risk

Brief description

• Objectives and tasks of the management of market and operational risks • Organisation of risk management for market risk and operational risks • Basic methods of VaR calculation for market risk: variance/covariance approach, historical simulation and Monte Carlo simulation and their application to equity price, interest rate and foreign currency risks • Back and stress testing for market risk • Market risk management tools • The extent of the operational risk and its differentiation from other types of risk • Qualitative and quantitative models for determining operational risk • Operational risk management tools • Basic prudential requirements for market and operational risk

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Philippe Jorion (2007): Financial Risk Manager Handbook, Wiley &Sons, New York, 4th edition Philippe Jorion (2007) : The Value at Risk: The Benchmark for Controlling Market Risk, Mc Graw Hill, New York, 3rd edition.

Planned learning activities and teaching methods

Classroom teaching, discussion of examples with students, e-learning

Assessment methods and criteria

Continuous assessment (student contributions in class) and written exam

Prerequisites and co-requisites

Financial Mathematics, Descriptive Statistics, Inferential Statistics

Infos

Degree programme

Banking and Finance (Bachelor)

Cycle

Bachelor

ECTS Credits

3.00

Language of instruction

English

Curriculum

Full-Time

Academic year

2026

Semester

4 SS

Incoming

No

Learning outcome

After successful completion of the course, students can • assess market risk and operational risk within a bank and the relevance of these two risks • cooperate in the identification and management of these risks • evaluate the relevant approaches and their respective strengths and weaknesses • carry out a VaR calculation of the market risk • independently design a VaR model for small portfolios • apply the basic methods of back and stress testing for market risk • explain the management options for market risk • summarise the basic methods and difficulties in measuring operational risk and the relevant management tools • illustrate the basic regulations for both market and operational risk

Course code

0229-19-01-VZ-DE-35